I have the same problem - the icon appears but if you select the memory card it just goes on line and takes you to a download site (vodafone live)..
I've read on the vodfone forum that you have to put mp3's into the "Music" folder on the phone in order to play them. Not much good as the phone memory is very small. Also there is nothing in the user manual about formating cards or playing music files from a card. Not too clever.
Bob
September 2008